开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

亚利 · 2023年06月10日

关于折现

NO.PZ2020021205000014

问题如下:

Use a two-step tree to value a one-year American call option on an index. The current value of the index is 2,000, the risk-free rate is 2%, and the dividend yield on the index is 3%. The strike price is 1,900 and the volatility is 22% per annum.

解释:

The tree is shown as follows. The option is exercised

early at node A. The value of the option is 216.67.

老师请问一下,这里的折现为什么只用无风险利率,而没有考虑分红,为什么这里不是(2%-3%)

1 个答案

品职答疑小助手雍 · 2023年06月11日

同学你好,因为risk- neutral的假设下,因为这个权利获得收益的期望是无风险收益率。

针对这个指数的折现你可以考虑股息,但是针对这个权利产生现金流的折现就跟股息没关系了。

  • 1

    回答
  • 0

    关注
  • 269

    浏览
相关问题

NO.PZ2020021205000014问题如下Use a two-step tree to value a one-yeAmericcall option on inx. The current value of the inx is 2,000, the risk-free rate is 2%, anthe vinyielon the inx is 3%. The strike priis 1,900 anthe volatility is 22% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #464045}span.s1 {color: #6a5247}span.s2 {color: #4b586c}span.s3 {color: #303b5f}The tree is shown follows. The option is exercise.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464046}span.s1 {color: #466b}early no The value of the option is 216.67.lta T为什么不是1呢?

2024-03-24 21:48 1 · 回答

NO.PZ2020021205000014问题如下Use a two-step tree to value a one-yeAmericcall option on inx. The current value of the inx is 2,000, the risk-free rate is 2%, anthe vinyielon the inx is 3%. The strike priis 1,900 anthe volatility is 22% per annum.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 7.5px Helveticcolor: #464045}span.s1 {color: #6a5247}span.s2 {color: #4b586c}span.s3 {color: #303b5f}The tree is shown follows. The option is exercise.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #484046}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464046}span.s1 {color: #466b}early no The value of the option is 216.67.A点up选择执行436.63,wn不执行44.08, 那往0点折现的时候,为什么最后选择用up不执行的价格和wn不执行的价格折现?

2023-04-06 20:13 1 · 回答

NO.PZ2020021205000014 在a时立即行权。一般考试会怎么问?因为这道题还是计算option pri我不知道得出来A时点立即行权在哪里用

2022-03-21 21:54 2 · 回答

老师,这道题可以写一下详细的步骤嘛,算出来和答案有些误差。

2020-04-30 15:54 1 · 回答